Farinelli and Tibiletti ratio and stochastic dominance
نویسندگان
چکیده
منابع مشابه
Farinelli and Tibiletti ratio and Stochastic Dominance
Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F-T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F-T ratios...
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ژورنال
عنوان ژورنال: Risk Management
سال: 2019
ISSN: 1460-3799,1743-4637
DOI: 10.1057/s41283-019-00050-2